A declaration! I know it's a concession, but the Nevernever is not a nice place. Either as part of the concession or the use of a FP/declaration, it might happen that that villain steps into a VERY nasty part of the Nevernever...So while the PC's haven't captured him, he'll be a long time before he can bother them again.
I think the other option, as you say, is Thaumaturgy. Setting up a scene aspect like "locked down" which would prevent travel to and from the Nevernever. Like the D&D version of dimensional lock.
The person would be able to resist it, but with Thaumaturgy, you could just pump in enough shifts to make success impossible. As soon as the guy tries to flee, the player invokes the aspect, the villain gains a FP if accepts. Now when he concedes, fleeing into the Nevernever can't be part of the negotiation.
Another simple thing would be locking the area down with a Zone border. You could do this with a simple evocation block although Thaumaturgy would be a surer thing. Once again, if he chooses to concede, the players have reason to remove fleeing into the Nevernever from the negotiations assuming the block is high enough to prevent travel.
The problem with Thaumaturgy, is you need some kind of symbolic link to the target. So if you're locking down a scene/zone, then the enemy needs to be in that zone. If you're locking down the target (the bad-guy), the players need some kind of link to him. Maybe that should have been part of the last concession: "sure, he escapes into the nevervever but he leaves behind something that we can use as a link to him"